This is the Matlab code for the empirical applications and simulations of
- Liangjun Su, Zhentao Shi and Peter Phillips: “Identifying Latent Structures in Panel Data” (2016), Econometrica, Vol.84, No.6, 2215-2264.
Please contact Zhentao Shi (firstname.lastname@example.org) if you have any question about the code.
R users please check github.com/zhan-gao/classo.
A follow-up paper is composed to further investigate the computational speed of C-Lasso. Please refer to:
- Zhan Gao and Zhentao Shi (2020): “Implementing Convex Optimization in R: Two Econometric Examples”, arXiv:1806.10423
We add a folder
generic_functions for the estimation procedures.
The functions are ready to take input and return output.
SSP_PLS_est.mis a generic function to implement PLS.
PLS_example.mis a minimum example of PLS.
Development Plan after Publication
In response to demand, we may further consider
- provide user-friendly Matlab interface for general use (currently working under
We welcome interested researchers to develop the code with us.
Note for v1.0: Replication Package
The results in the paper are generated under
- Matlab 8.5
- CVX 2.1 (http://cvxr.com/cvx/download/)
- Mosek 7.1 (https://www.mosek.com/resources/downloads).
CVX must be installed and linked with Matlab, and Mosek is invoked as the solver through the command
cvx_solver mosek. Without Mosek, a user can still run the code with CVX if he comments out this line.
The empirical applications can be exactly replicated by the commented
master.m in folders
app_saving_PLS: for Section 5.1
app_saving_PGMM: for Section 5.1
app_civil_war: for Section 5.2
app_democracy: for Section S4.3
Data are also provided in each folder.
The workhorse scripts that execute the iterative algorithm in Section 3.1 of the Supplementary Material are
PLS_est.m: for PLS estimation
PGMM_est.m: for PGMM estimation
PNL_est.m: for the PPL (Panel Probit) estimation
The scripts in folders
simulations generate the simulation results. The master files are either
**_super. Super parameters, such as
Rep, should be provided outside of the main function or script.